longevity risk and stochastic models Part 1
نویسندگان
چکیده
A single ‘best’ model to predict mortality and understand longevity risk exists only in theory. However, our research and tests conducted on four stochastic mortality models reveals the strengths and weaknesses of each model’s predictive capabilities while simultaneously analyzing how parameters can be set to appropriately smooth and massage the input data. However, just being able to model longevity risk is not enough. This paper examines how stochastic modeling is better than deterministic modeling, how longevity risk can be incorporated into an overall liability driven investment (LDI) strategy, and how understanding longevity risk can improve the management of defined benefit pension schemes in the U.K. longevity risk and stochastic models Part 1 Wenyu Bai Quantitative Analyst, Redington Partners LLP rodrigo leon-Morales Investment Consultant, Redington Partners LLP Muqiu liu Quantitative Analyst, Redington Partners LLP Yi Wang Quantitative Analyst, Redington Partners LLP
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